It'as not what is lost in an MP3, it's the garbage it adds!
The difference between MP3 and lossless is nothing to do with what is removed. It's everything to do with MP3 adding frequency components that are not there in the original, and (even worse) which have no harmonic relation to the original notes.
Listen to somerthing very simple. A solo flute is perfect. Or a singer with a "pure" voice and an acoustic guitar. If you have a musical ear, the difference betwewen compressed audio and non-compressed is painfuly obvious. I can obtain pleasure listening to acoustic music on hardware way below the audiophile grade. It's failings are to attenuate some very high and very low frequencies, and to introduce some harmonic distortion, i.e. notes harmonically related to the source. This latter changes the timbre of the sound ... some folks actually prefer the "warmth" added by a valve amplifier, which does so more than even a low-budget transistor amp.
But non-harmonic added noise is just that. Noise. Disgusting atonal interference. It doesn't change the timbre, it interferes with your appreciation of the music. It does so with any fidelity of post-DAC amplification, not just the highest. Amplification with any approximately linear transfer curve cannot add non-harmonic components. Sampling will "alias" ultrasonic frequencies back down to lower audible ones, but that is avoided by filtering the inut so that there is effectively zero in the pre-ADC stream at much above the sample rate to get aliased down below 10kHz. Compression is simply evil.
BTW this same phenomenon is why FM sounds so much better than DAB, even on a crappy portable receiver. (Oddly, the horror is far less with speech than with music). Of course, the compression on UK DAB is particularly awful, which doesn't help.